Isotonic regression in general dimensions

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• Richard Samworth (University of Cambridge)
• Monday 19 March 2018, 14:30-15:30
• Seminar Room 1, Newton Institute.

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STSW02 - Statistics of geometric features and new data types

Co-authors: Qiyang Han (University of Washington), Tengyao Wang (University of Cambridge), Sabyasachi Chatterjee (University of Illinois)

We study the least squares regression function estimator over the class of real-valued functions on $[0,1]^{d$ that are increasing in each coordinate. For uniformly bounded signals and with a fixed, cubic lattice design, we establish that the estimator achieves the minimax rate of order $n}{−min\{2/(d+2),1/d\}}$ in the empirical $L_2$ loss, up to poly-logarithmic factors. Further, we prove a sharp oracle inequality, which reveals in particular that when the true regression function is piecewise constant on $k$ hyperrectangles, the least squares estimator enjoys a faster, adaptive rate of convergence of $(k/n)^{min(1,2/d)}$, again up to poly-logarithmic factors. Previous results are confined to the case $d\leq 2$. Finally, we establish corresponding bounds (which are new even in the case $d=2$) in the more challenging random design setting. There are two surprising features of these results: first, they demonstrate that it is possible for a global empirical risk minimisation procedure to be rate optimal up to poly-logarithmic factors even when the corresponding entropy integral for the function class diverges rapidly; second, they indicate that the adaptation rate for shape-constrained estimators can be strictly worse than the parametric rate. 

This talk is part of the Isaac Newton Institute Seminar Series series.

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